Unit Roots, Level Shifts, and Trend Breaks in Per Capita Output: A Robust Evaluation

DOI10.1080/07474938.2012.690689zbMath1491.62107OpenAlexW3124857850MaRDI QIDQ5080581

Mohitosh Kejriwal, Claude Lopez

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/25204/1/MPRA_paper_25204.pdf

zbMATH Keywords

unit rootstructural changelevel shifttrend breaksgrowth shift

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Inference on a structural break in trend with mildly integrated errors ⋮ On robust testing for trend ⋮ A multicointegration model of global climate change

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Structural breaks with deterministic and stochastic trends
• A simple, robust and powerful test of the trend hypothesis
• Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
• Robust methods for detecting multiple level breaks in autocorrelated time series
• Partial parameter consistency in a misspecified structural change model
• Further evidence on breaking trend functions in macroeconomic variables
• Estimating deterministic trends with an integrated or stationary noise component
• A sequential procedure to determine the number of breaks in trend with an integrated or stationary noise component
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• SIMPLE, ROBUST, AND POWERFUL TESTS OF THE BREAKING TREND HYPOTHESIS
• TESTING FOR A UNIT ROOT IN THE PRESENCE OF A POSSIBLE BREAK IN TREND
• GLS-BASED UNIT ROOT TESTS WITH MULTIPLE STRUCTURAL BREAKS UNDER BOTH THE NULL AND THE ALTERNATIVE HYPOTHESES
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES
• UNIT ROOTS, TREND BREAKS, AND TRANSITORY DYNAMICS: A MACROECONOMIC PERSPECTIVE
• Estimating and Testing Linear Models with Multiple Structural Changes
• Trend Function Hypothesis Testing in the Presence of Serial Correlation
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Efficient Tests for an Autoregressive Unit Root
• Econometric Theory and Practice

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